Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0426
Annualized Std Dev 0.2259
Annualized Sharpe (Rf=0%) -0.1887

Row

Daily Return Statistics

Close
Observations 3894.0000
NAs 1.0000
Minimum -0.1939
Quartile 1 -0.0050
Median 0.0008
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0059
Maximum 0.1270
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0142
Skewness -1.2846
Kurtosis 23.4613

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0098
Loss Deviation 0.0131
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.7281
Historical VaR (95%) -0.0201
Historical ES (95%) -0.0369
Modified VaR (95%) -0.0215
Modified ES (95%) -0.0398
From Trough To Depth Length To Trough Recovery
2007-03-13 2020-03-18 NA -0.7281 3532 3278 NA
2005-10-13 2005-12-27 2006-12-11 -0.1678 293 52 241
2007-01-03 2007-03-05 2007-03-12 -0.0315 47 42 5
2006-12-20 2006-12-20 2006-12-29 -0.0221 7 1 6
2006-12-12 2006-12-12 2006-12-14 -0.0055 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA 0 0 0.6 0.4 0.9
2006 0 0.9 -0.4 0.8 1.4 0.6 0.1 0.2 0.8 -0.5 0 0.4 4.2
2007 -0.4 -1.4 0.1 1 0.5 0.3 -0.6 1.2 0.7 -1.2 2 1.5 3.4
2008 0.9 -1.7 2.5 1 1.4 1 -0.9 -0.1 2.6 2.9 -8 3.7 4.7
2009 -0.7 -3.2 2.2 2 2.6 0.8 0.7 -0.6 -2.1 -3.5 1 -0.6 -1.6
2010 1.5 0.2 1.6 -1.3 -0.6 -1.7 1.2 2 -0.4 -0.2 1.4 0.1 3.8
2011 2 -0.5 0.3 0.2 -0.8 0.2 0.4 -0.6 -2.6 -3.1 0.5 0.9 -3.2
2012 1.2 0.9 0.2 0.3 -1.7 2 0.4 0.6 0.4 1.1 -0.3 0.4 5.5
2013 0.4 0.2 -0.1 -0.6 -1.7 1.2 0.8 -0.3 1.6 0 -0.5 -0.2 0.7
2014 -0.3 0.2 0.5 0.3 0.4 1 -0.8 0.1 -1 0.9 -1.1 -2.6 -2.5
2015 0.4 0.8 -0.5 0.6 0.3 0.5 0.7 -1.8 1.5 0 -1.9 -0.4 0.1
2016 -0.7 2.5 0.3 0 0.4 0.2 -0.2 0.5 1 -0.5 -1 -0.3 2.2
2017 1.3 1.2 0 0.4 0.6 0.6 0.1 0.1 0.6 0.3 0.1 0 5.5
2018 -0.3 -1 1.1 -0.4 1.2 -0.1 0.1 0.4 -0.2 1.8 1.1 1.9 5.6
2019 -0.2 0.3 0.5 0.1 -1 0.2 -0.6 0.3 -0.8 0.6 -0.3 1.7 0.7
2020 -1.1 -3.9 -6 -2.2 0.7 0.3 -0.3 0.3 1.1 -1.7 0.6 0.6 -11.2
2021 -0.3 1.3 0.4 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2005-09-28  20   SPY    122.  0.001    0.0063  -0.0002   0.0154   0.0879    0.470   -0.162 GLD    46.8  1.19e-2  -0.0055
2 2005-09-29  20.0 SPY    123.  0.0081   0.0109   0.0133   0.0292   0.0975    0.500   -0.156 GLD    47.1  6.40e-3   0.016 
3 2005-09-30  20   SPY    123.  0.0031   0.0132   0.0038   0.0294   0.0826    0.435   -0.146 GLD    46.7 -8.50e-3   0.0091
4 2005-10-03  20   SPY    123. -0.0036   0.0084   0.0009   0.0175   0.077     0.474   -0.139 GLD    46.4 -6.00e-3  -0.0032
5 2005-10-04  20   SPY    121. -0.0113  -0.0027  -0.0086   0.0146   0.0643    0.473   -0.153 GLD    46.4  6.00e-4   0.0043
6 2005-10-05  20   SPY    120. -0.0131  -0.0168  -0.0329  -0.0027   0.0437    0.481   -0.181 GLD    46.4 -1.90e-3  -0.0094
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart